When I try to turn the unit off,it stays on.could it be the relay? Or bad connection?

It really depends on the system you have. If any of the limits trip on a system or if it fails to light. The system will lock out and the blower runs all the time to let you know you have a problem. You can kill power to the system and turn it back on to give it a second chance to light. A make and model will help us help you.